Existing studies that evaluate the impact of pollution on human beings understate its negative effect on cognition, mental health, and happiness. This paper attempts to fill in the gap via investigating the impact of air quality on subjective well-being using China as an example. By matching a...

We propose a new model for dynamic volatilities and correlations of skewed and heavy-tailed data. Our model endows the Generalized Hyperbolic distribution with time-varying parameters driven by the score of the observation density function. The key novelty in our approach is the fact that the...

We propose a novel empirical framework to assess the likelihood of joint and conditional failure for Euro area sovereigns. Our model is based on a dynamic skewed-t copulawhich captures all the salient features of the data, including skewed and heavy-tailed changes in the price of CDS protection...

Two new measures for financial systemic risk are computed based on the time-varying conditional and unconditional probability of simultaneous failures of several financial institutions. These risk measures are derived from a multivariate model that allows for skewed and heavy-tailed changes in...

We propose an empirical framework to assess joint and conditional probabilities of credit events from CDS prices observed in the market. Our model is based on a dynamic skewed-t distribution that captures many salient features of CDS data, including skewed and heavy-tailed changes in the price...

We develop a novel high-dimensional non-Gaussian modeling framework to infer measures of conditional and joint default risk for numerous financial sector firms. The model is based on a dynamic Generalized Hyperbolic Skewed-t block-equicorrelation copula with time-varying volatility and...

While there is a large body of literature on the negative health effects of air pollution, there is much less written about its effects on cognitive performance for the whole population. This paper studies the effects of contemporaneous and cumulative exposure to air pollution on cognitive...

Previous studies evaluating the welfare cost of air pollution have not paid much attention to its potential effect on mental health and subjective well-being (SWB). This paper attempts to fill the gap by investigating the impact of air pollution on several key dimensions, including mental health...

On December 16th of 2015, the Fed initiated "liftoff," raising the federal funds rate range by 25 basis points and ending a 7-year regime of near-zero rates. We use a unique dataset of 640,000 loan-hour observations to measure the impact of liftoff on interest rates in the peer-to-peer lending...

While there is a large body of literature on the negative health effects of air pollution, there is much less written about its effects on cognitive performance for the whole population. This paper studies the effects of contemporaneous and cumulative exposure to air pollution on cognitive...